CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6514	41.10***
γ leverage Additional response to negative shocks	0.2602	26.29***
λ₁ tau intercept Baseline long-term coefficient	0.0765	1.11
λ₂ forecast adj. Forecast performance sensitivity	0.1122	1.79*
λ₃ tau persistence Long-term factor persistence	0.8288	8.29***

V-Lab

Vietnam Ho Chi Minh Stock Index / VN-Index MF2-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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